An Analysis of the Asymmetric Volatility of Equity REITs Property Type Index in the United States

• Main Authors: Pao-Wen Hsu, 許寶文
• Other Authors: Ming-Che Wu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/70521906677811720866

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === REITs in the international market has become increasingly mature, particularly in the United States was among the first to develop the REITs market, procedures and practices is the most mature countries. REITs played the investment role in order to place in the portfolio and can reduce the portfolio risk and enhance portfolio returns, many literature for REITs features for study, but are not common a clear conclusion, REITs with the stock market between association, or has a defensive effect of risk diversification, and many in the literature, most of the REITs index sample for the study, not taking into account the REITs index by different types of asset composition. This research applied GARCH model and GJR-GARCH model to examine whether the asymmetric volatility and the defensive characteristics of property-type REITs. Empirical results show that 16 kinds of asset classes of equity REITs, nursing homes, industrial plants, hybrid, office buildings and shopping centers, five asset classes, with defensive characteristics; In addition, diversified, the trading Free Standing, retail, specialty and self-storage, the five asset classes, has a significant positive leverage effect, said the stock market, when prices decline, the volatility will be increased, cannot show the defensive effect.